-------------------------------------------------------------------------------------------------------------------------
      name:  <unnamed>
       log:  /Users/ssaiegh/Files/Mac/UCSD/Carnahan/Shocks/Replication Files/Appendix D.log
  log type:  text
 opened on:   6 Aug 2021, 09:41:48

. use "daily_sp_argentina_2020.dta";

. gen case_id= _n;

. tsset case_id;
        time variable:  case_id, 1 to 13102
                delta:  1 unit

. gen event=(steward==1 | gov_change==1 | dem_change==1 | elec==1 | terror==1);

. gen ret_nom=log(nominal/L.nominal);
(1 missing value generated)

. gen ret_inf=log(inflation/L.inflation);
(1 missing value generated)

. gen ret_dol=log(dollar/L.dollar);
(1 missing value generated)

. /* Table D1: Fractional Difference Parameter ARFIMA model*/;
.  arfima ret_nom, ar(1) ma(1);
Iteration 0:   log likelihood =  28260.297  
Iteration 1:   log likelihood =  28260.523  (backed up)
Iteration 2:   log likelihood =  28270.465  (backed up)
Iteration 3:   log likelihood =  28270.476  (backed up)
Iteration 4:   log likelihood =  28271.842  
Iteration 5:   log likelihood =  28272.152  
Iteration 6:   log likelihood =  28272.157  
Iteration 7:   log likelihood =  28272.157  
Refining estimates:
Iteration 0:   log likelihood =  28272.157  
Iteration 1:   log likelihood =  28272.157  

ARFIMA regression

Sample: 2 - 13102                               Number of obs     =     13,101
                                                Wald chi2(3)      =    1201.49
Log likelihood =  28272.157                     Prob > chi2       =     0.0000
------------------------------------------------------------------------------
             |                 OIM
     ret_nom |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ret_nom      |
       _cons |    .002007    .001811     1.11   0.268    -.0015425    .0055566
-------------+----------------------------------------------------------------
ARFIMA       |
          ar |
         L1. |   .5567223   .0259175    21.48   0.000     .5059248    .6075197
             |
          ma |
         L1. |  -.7355744   .0225036   -32.69   0.000    -.7796806   -.6914681
             |
           d |   .2622396   .0266039     9.86   0.000     .2100969    .3143822
-------------+----------------------------------------------------------------
     /sigma2 |   .0007818   9.66e-06    80.94   0.000     .0007628    .0008007
------------------------------------------------------------------------------
Note: The test of the variance against zero is one sided, and the two-sided
      confidence interval is truncated at zero.

. arfima ret_inf, ar(1) ma(1);
Iteration 0:   log likelihood =   25025.96  
Iteration 1:   log likelihood =  25026.266  (backed up)
Iteration 2:   log likelihood =  25027.541  (backed up)
Iteration 3:   log likelihood =  25027.854  
Iteration 4:   log likelihood =  25028.086  
Iteration 5:   log likelihood =  25028.087  
Refining estimates:
Iteration 0:   log likelihood =  25028.087  
Iteration 1:   log likelihood =  25028.087  

ARFIMA regression

Sample: 2 - 13102                               Number of obs     =     13,101
                                                Wald chi2(3)      =      70.32
Log likelihood =  25028.087                     Prob > chi2       =     0.0000
------------------------------------------------------------------------------
             |                 OIM
     ret_inf |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ret_inf      |
       _cons |    .000049   .0002228     0.22   0.826    -.0003876    .0004856
-------------+----------------------------------------------------------------
ARFIMA       |
          ar |
         L1. |  -.1827635   .1001089    -1.83   0.068    -.3789734    .0134464
             |
          ma |
         L1. |   .2610771   .0938883     2.78   0.005     .0770594    .4450948
             |
           d |   -.044918   .0104338    -4.31   0.000    -.0653679   -.0244682
-------------+----------------------------------------------------------------
     /sigma2 |   .0012829   .0000159    80.94   0.000     .0012518    .0013139
------------------------------------------------------------------------------
Note: The test of the variance against zero is one sided, and the two-sided
      confidence interval is truncated at zero.

. arfima ret_dol, ar(1) ma(1);
Iteration 0:   log likelihood =  26172.439  
Iteration 1:   log likelihood =  26173.056  (backed up)
Iteration 2:   log likelihood =  26178.013  (backed up)
Iteration 3:   log likelihood =  26178.121  (backed up)
Iteration 4:   log likelihood =  26178.823  
Iteration 5:   log likelihood =  26178.846  
Iteration 6:   log likelihood =  26178.847  
Iteration 7:   log likelihood =  26178.847  
Refining estimates:
Iteration 0:   log likelihood =  26178.847  
Iteration 1:   log likelihood =  26178.847  

ARFIMA regression

Sample: 2 - 13102                               Number of obs     =     13,101
                                                Wald chi2(3)      =    1091.77
Log likelihood =  26178.847                     Prob > chi2       =     0.0000
------------------------------------------------------------------------------
             |                 OIM
     ret_dol |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ret_dol      |
       _cons |   .0000295   .0008894     0.03   0.974    -.0017136    .0017726
-------------+----------------------------------------------------------------
ARFIMA       |
          ar |
         L1. |   .5949101   .0297591    19.99   0.000     .5365834    .6532369
             |
          ma |
         L1. |  -.7277557   .0243652   -29.87   0.000    -.7755105   -.6800008
             |
           d |    .163612   .0287741     5.69   0.000     .1072157    .2200082
-------------+----------------------------------------------------------------
     /sigma2 |   .0010762   .0000133    80.94   0.000     .0010501    .0011022
------------------------------------------------------------------------------
Note: The test of the variance against zero is one sided, and the two-sided
      confidence interval is truncated at zero.

. /* Table D2. Semi-Parametric Tests*/;
. gphudak ret_nom, power(0.4 0.45: 0.6);

GPH estimate of fractional differencing parameter
------------------------------------------------------------------------------
                                                      Asy.
Power   Ords    Est d   StdErr  t(H0: d=0)  P>|t|    StdErr  z(H0: d=0)  P>|z|
------------------------------------------------------------------------------
   .4     45  .299715   .08196     3.6569   0.001     .1111     2.6980   0.007
  .45     72  .209789   .08034     2.6112   0.011    .08417     2.4924   0.013
   .5    115  .246659   .06071     4.0628   0.000     .0646     3.8184   0.000
  .55    184  .251689   .04764     5.2837   0.000    .04995     5.0385   0.000
   .6    296  .203973   .03922     5.2005   0.000    .03876     5.2626   0.000
------------------------------------------------------------------------------

. modlpr ret_nom, power( 0.4 0.45: 0.6);

Modified LPR estimate of fractional differencing parameter for ret_nom
------------------------------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|    z(H0: d=1)    P>|z|
------------------------------------------------------------------------------
   .4     44   .3375548   .0765321     4.4106     0.000      -6.8522     0.000
  .45     71   .2465486   .0805095     3.0624     0.003      -9.9001     0.000
   .5    114   .2749157   .0612126     4.4912     0.000     -12.0725     0.000
  .55    183   .2721841   .0480807     5.6610     0.000     -15.3533     0.000
   .6    295    .218261   .0393164     5.5514     0.000     -20.9377     0.000
------------------------------------------------------------------------------

. roblpr ret_nom, power(0.4 0.45:0.6);

Robinson estimates of fractional differencing parameter for ret_nom
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .4     45   .2990299   .0799322     3.7410     0.001
  .45     71   .2097844   .0803405     2.6112     0.011
   .5    115   .2468534   .0601509     4.1039     0.000
  .55    183   .2516705   .0476315     5.2837     0.000
   .6    295   .2039213   .0392145     5.2002     0.000
-------------------------------------------------------

. lomodrs ret_nom;
 
Lo Modified R/S test for ret_nom
 
Critical values for H0: ret_nom is not long-range dependent
 
90%: [ 0.861, 1.747 ]
95%: [ 0.809, 1.862 ]
99%: [ 0.721, 2.098 ]
 
Test statistic:     4.11  (9 lags via Andrews criterion)  N = 13093

. gphudak ret_inf, power( 0.4 0.45: 0.6);

GPH estimate of fractional differencing parameter
------------------------------------------------------------------------------
                                                      Asy.
Power   Ords    Est d   StdErr  t(H0: d=0)  P>|t|    StdErr  z(H0: d=0)  P>|z|
------------------------------------------------------------------------------
   .4     45 -.280924    .1187    -2.3665   0.023     .1111    -2.5289   0.011
  .45     72 -.256478   .08337    -3.0763   0.003    .08417    -3.0471   0.002
   .5    115 -.172602   .06324    -2.7295   0.007     .0646    -2.6719   0.008
  .55    184 -.066258   .04947    -1.3393   0.182    .04995    -1.3264   0.185
   .6    296 -.024315    .0407    -0.5974   0.551    .03876    -0.6273   0.530
------------------------------------------------------------------------------

. modlpr ret_inf, power( 0.4 0.45: 0.6);

Modified LPR estimate of fractional differencing parameter for ret_inf
------------------------------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|    z(H0: d=1)    P>|z|
------------------------------------------------------------------------------
   .4     44   .3029041   .0937708     3.2303     0.002      -7.2107     0.000
  .45     71   .1954361   .0724494     2.6976     0.009     -10.5717     0.000
   .5    114   .1648669   .0572828     2.8781     0.005     -13.9048     0.000
  .55    183   .1771204   .0454308     3.8987     0.000     -17.3587     0.000
   .6    295   .1484595   .0380251     3.9043     0.000     -22.8072     0.000
------------------------------------------------------------------------------

. roblpr ret_inf, power(0.4 0.45:0.6);

Robinson estimates of fractional differencing parameter for ret_inf
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .4     45   -.282568   .1157777    -2.4406     0.019
  .45     71  -.2564753   .0833709    -3.0763     0.003
   .5    115  -.1748249   .0626873    -2.7888     0.006
  .55    183  -.0662432   .0494683    -1.3391     0.182
   .6    295  -.0242998   .0406904    -0.5972     0.551
-------------------------------------------------------

. lomodrs ret_inf;
 
Lo Modified R/S test for ret_inf
 
Critical values for H0: ret_inf is not long-range dependent
 
90%: [ 0.861, 1.747 ]
95%: [ 0.809, 1.862 ]
99%: [ 0.721, 2.098 ]
 
Test statistic:     1.01  (4 lags via Andrews criterion)  N = 13098

. gphudak ret_dol, power( 0.4 0.45: 0.6);

GPH estimate of fractional differencing parameter
------------------------------------------------------------------------------
                                                      Asy.
Power   Ords    Est d   StdErr  t(H0: d=0)  P>|t|    StdErr  z(H0: d=0)  P>|z|
------------------------------------------------------------------------------
   .4     45 -.180769    .1103    -1.6393   0.109     .1111    -1.6273   0.104
  .45     72 -.097201   .08192    -1.1865   0.239    .08417    -1.1548   0.248
   .5    115 -.047687   .06783    -0.7030   0.483     .0646    -0.7382   0.460
  .55    184  .010499   .05573     0.1884   0.851    .04995     0.2102   0.834
   .6    296 -.017218   .04012    -0.4291   0.668    .03876    -0.4442   0.657
------------------------------------------------------------------------------

. modlpr ret_dol, power( 0.4 0.45: 0.6);

Modified LPR estimate of fractional differencing parameter for ret_dol
------------------------------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|    z(H0: d=1)    P>|z|
------------------------------------------------------------------------------
   .4     44   .1757724   .1139882     1.5420     0.130      -8.5257     0.000
  .45     71   .1614205   .0806404     2.0017     0.049     -11.0187     0.000
   .5    114   .1401028   .0662086     2.1161     0.037     -14.3171     0.000
  .55    183   .1427666   .0540342     2.6422     0.009     -18.0834     0.000
   .6    295   .0781253   .0395248     1.9766     0.049     -24.6910     0.000
------------------------------------------------------------------------------

. roblpr ret_dol, power(0.4 0.45:0.6);

Robinson estimates of fractional differencing parameter for ret_dol
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .4     45  -.1569872   .1097848    -1.4300     0.159
  .45     71  -.0971991    .081921    -1.1865     0.239
   .5    115  -.0514383   .0673009    -0.7643     0.446
  .55    183   .0105028   .0557259     0.1885     0.851
   .6    295  -.0172119   .0401171    -0.4290     0.668
-------------------------------------------------------

. lomodrs ret_dol;
 
Lo Modified R/S test for ret_dol
 
Critical values for H0: ret_dol is not long-range dependent
 
90%: [ 0.861, 1.747 ]
95%: [ 0.809, 1.862 ]
99%: [ 0.721, 2.098 ]
 
Test statistic:     1.07  (5 lags via Andrews criterion)  N = 13097

. /* Table D3. State Dependency*/;
. roblpr ret_nom if year>1969 & year<1980, power(0.5);

Robinson estimates of fractional differencing parameter for ret_nom
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .3260121   .1033133     3.1556     0.003
-------------------------------------------------------

. roblpr ret_nom if year>1979 & year<1990, power(0.5);

Robinson estimates of fractional differencing parameter for ret_nom
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .1906022   .1042668     1.8280     0.074
-------------------------------------------------------

. roblpr ret_nom if year>1989 & year<2000, power(0.5);

Robinson estimates of fractional differencing parameter for ret_nom
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .1161557   .0680925     1.7059     0.094
-------------------------------------------------------

. roblpr ret_nom if year>1999 & year<2010, power(0.5);

Robinson estimates of fractional differencing parameter for ret_nom
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .0545421   .1032724     0.5281     0.600
-------------------------------------------------------

. roblpr ret_nom if year>2009 & year<2020, power(0.5);

Robinson estimates of fractional differencing parameter for ret_nom
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49  -.2017209   .1043366    -1.9334     0.059
-------------------------------------------------------

. roblpr ret_inf if year>1969 & year<1980, power(0.5);

Robinson estimates of fractional differencing parameter for ret_inf
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .1456538   .1017388     1.4316     0.158
-------------------------------------------------------

. roblpr ret_inf if year>1979 & year<1990, power(0.5);

Robinson estimates of fractional differencing parameter for ret_inf
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49  -.0658647   .1153213    -0.5711     0.570
-------------------------------------------------------

. roblpr ret_inf if year>1989 & year<2000, power(0.5);

Robinson estimates of fractional differencing parameter for ret_inf
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49  -.1042208   .0934334    -1.1155     0.270
-------------------------------------------------------

. roblpr ret_inf if year>1999 & year<2010, power(0.5);

Robinson estimates of fractional differencing parameter for ret_inf
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .0721779    .105377     0.6849     0.497
-------------------------------------------------------

. roblpr ret_inf if year>2009 & year<2020, power(0.5);

Robinson estimates of fractional differencing parameter for ret_inf
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49  -.1645131   .0982981    -1.6736     0.100
-------------------------------------------------------

. roblpr ret_dol if year>1969 & year<1980, power(0.5);

Robinson estimates of fractional differencing parameter for ret_dol
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .0468441    .126732     0.3696     0.713
-------------------------------------------------------

. roblpr ret_dol if year>1979 & year<1990, power(0.5);

Robinson estimates of fractional differencing parameter for ret_dol
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49  -.0614744   .1035742    -0.5935     0.556
-------------------------------------------------------

. roblpr ret_dol if year>1989 & year<2000, power(0.5);

Robinson estimates of fractional differencing parameter for ret_dol
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .1383055   .1037459     1.3331     0.189
-------------------------------------------------------

. roblpr ret_dol if year>1999 & year<2010, power(0.5);

Robinson estimates of fractional differencing parameter for ret_dol
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   .2415764   .0870557     2.7750     0.008
-------------------------------------------------------

. roblpr ret_dol if year>2009 & year<2020, power(0.5);

Robinson estimates of fractional differencing parameter for ret_dol
-------------------------------------------------------
Power   Ords      Est d    Std Err  t(H0: d=0)    P>|t|
-------------------------------------------------------
   .5     49   -.140336   .0886092    -1.5838     0.120
-------------------------------------------------------

. log c;
      name:  <unnamed>
       log:  /Users/ssaiegh/Files/Mac/UCSD/Carnahan/Shocks/Replication Files/Appendix D.log
  log type:  text
 closed on:   6 Aug 2021, 10:04:12
-------------------------------------------------------------------------------------------------------------------------
